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1、Chapter12:BehavioralFinanceandTechnicalAnalysisChapterOpenerPART??IIIp.381THEEFFICIENTMARKEThypothesismakestwoimportantpredictions.First,itimpliesthatsecuritypricesproperlyreflectwhateverinformationisavailabletoinvestors.Asecondimplicationfollowsimmediately:activetradersw
2、illfinditdifficulttooutperformpassivestrategiessuchasholdingmarketindexes.Todosowouldrequiredifferentialinsight;thisinahighlycompetitivemarketisveryhardtocomeby.???Unfortunately,itishardtodevisemeasuresofthe“true”orintrinsicvalueofasecurity,andcorrespondinglydifficulttote
3、stdirectlywhetherpricesmatchthosevalues.Therefore,mosttestsofmarketefficiencyhavefocusedontheperformanceofactivetradingstrategies.Thesetestshavebeenoftwokinds.Theanomaliesliteraturehasexaminedstrategiesthatapparentlywouldhaveprovidedsuperiorrisk-adjustedreturns(e.g.,inves
4、tinginstockswithmomentumorinvalueratherthanglamourstocks).Othertestshavelookedattheresultsofactualinvestmentsbyaskingwhetherprofessionalmanagershavebeenabletobeatthemarket.???Neitherclassoftestshasprovenfullyconclusive.Theanomaliesliteraturesuggeststhatseveralstrategieswo
5、uldhaveprovidedsuperiorreturns.Buttherearequestionsastowhethersomeoftheseapparentanomaliesreflectriskpremiumsnotcapturedbysimplemodelsofriskandreturn,oreveniftheymerelyreflectdatamining.Moreover,theapparentinabilityofthetypicalmoneymanagertoturntheseanomaliesintosuperiorr
6、eturnsonactualportfolioscastsadditionaldoubtontheir“reality.”???Arelativelynewschoolofthought,behavioralfinance,arguesthatthesprawlingliteratureontradingstrategieshasmissedalargerandmoreimportantpointbyoverlookingthefirstimplicationofefficientmarkets—thecorrectnessofsecur
7、ityprices.Thismaybethemoreimportantimplication,becausemarketeconomiesrelyonpricestoallocateresourcesefficiently.Thebehavioralschoolarguesthatevenifsecuritypricesarewrong,toexploitthemstillcanbedifficultand,therefore,thefailuretouncoverobviouslysuccessfultradingrulesortrad
8、erscannotbetakenasproofofmarketefficiency.???Whereasconventionaltheoriespresumethatinvestorsarer
